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customizable mapping in corr_cholesky_factor

Open tpapp opened this issue 1 month ago • 0 comments

Currently, the stick-breaking setup uses tanh(x) to map the real line to (-1, 1) in the correlation Cholesky factor.

This is not always ideal, as it is easy to get numerically near-singular matrices, as in

using TransformVariables, LinearAlgebra
t = corr_cholesky_factor(SMatrix{9,9})
C = transform(t, -10 * ones(dimension(t)))

A milder mapping, such as x / hypot(1, x), may be able to mitigate this.

We should also consider reifying the mapping as an alternative to TVLogistic (suitably scaled).

tpapp avatar Dec 10 '25 08:12 tpapp